Author: Andrew M. McKenzie
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the futures market and its ability to provide unbiased forecasts of subsequent futures prices at contract maturity. Our results indicate that futures price returns for live cattle, hogs, corn, rice and soybean meal violate the standard OLS assumption of normality. However, nonparametric statistics results did not materially conflict with our OLS parametric results. Further modeling indicated live cattle, hogs and soybean meal futures returns are better specified using GARCH type models, which allow for a non-constant error variance over time.
Nonparametric Tests of Commodity Futures Market Efficiency
Author: Andrew M. McKenzie
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the futures market and its ability to provide unbiased forecasts of subsequent futures prices at contract maturity. Our results indicate that futures price returns for live cattle, hogs, corn, rice and soybean meal violate the standard OLS assumption of normality. However, nonparametric statistics results did not materially conflict with our OLS parametric results. Further modeling indicated live cattle, hogs and soybean meal futures returns are better specified using GARCH type models, which allow for a non-constant error variance over time.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the futures market and its ability to provide unbiased forecasts of subsequent futures prices at contract maturity. Our results indicate that futures price returns for live cattle, hogs, corn, rice and soybean meal violate the standard OLS assumption of normality. However, nonparametric statistics results did not materially conflict with our OLS parametric results. Further modeling indicated live cattle, hogs and soybean meal futures returns are better specified using GARCH type models, which allow for a non-constant error variance over time.
Commodity Futures Price Changes
Author: Michael A. Hudson
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 40
Book Description
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 40
Book Description
An Investigation Into the Causes of Non-martingale Behavior in Commodity Futures Prices
Author: Scott Wesley Barnhart
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 238
Book Description
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 238
Book Description
Can Chartists Outperform the Market?
Author: Salih N. Neftci
Publisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category : Efficient market theory
Languages : en
Pages : 44
Book Description
Re-examining the Futures Market Efficiency Using a New Approach in the Presence of a Time-Varying Risk Premium
Author: Duminda Kuruppuarachchi
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk premium assumptions as such they are biased towards the rejection of the market efficiency hypothesis especially for commodity futures. The time varying risk premium is estimated using a state space model with a modified Kalman filter. Using a Monte Carlo simulation, we show that the proposed test produces robust and superior results under varying market conditions compared to the conventional approaches. By employing the proposed test we analyse the efficiency of crude oil, corn, copper and gold futures and find that gold futures is inefficient throughout the sample period 2000-2011 while others are efficient especially after the global financial crisis (GFC) in 2008. We also find significant changes in the underlying risk premiums due to the GFC. We extend the analysis to a comprehensive sample of 85 commodities traded on 16 exchanges worldwide and find that efficiency and risk premiums vary across the four market sectors while GFC has caused to increase both efficiency and risk premiums in all markets other than precious metals.
Publisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
We re-examine the market efficiency of commodity futures using a new approach that accounts for both time-varying risk premium and conditional heteroscedasticity of spot prices. The conventional market efficiency tests so far in the literature are based on either risk neutral or constant risk premium assumptions as such they are biased towards the rejection of the market efficiency hypothesis especially for commodity futures. The time varying risk premium is estimated using a state space model with a modified Kalman filter. Using a Monte Carlo simulation, we show that the proposed test produces robust and superior results under varying market conditions compared to the conventional approaches. By employing the proposed test we analyse the efficiency of crude oil, corn, copper and gold futures and find that gold futures is inefficient throughout the sample period 2000-2011 while others are efficient especially after the global financial crisis (GFC) in 2008. We also find significant changes in the underlying risk premiums due to the GFC. We extend the analysis to a comprehensive sample of 85 commodities traded on 16 exchanges worldwide and find that efficiency and risk premiums vary across the four market sectors while GFC has caused to increase both efficiency and risk premiums in all markets other than precious metals.
A Multivariate Multiscale Entropy Approach to Testing Commodity Market Efficiency
Author: Rahuldeb Das
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This study examines the efficiency of the Indian commodity market after the onset of futures trading on the national level commodity exchanges. The efficiency of five agricultural and three non-agricultural commodities have been tested by calculating multiscale sample entropy, taking univariate and multivariate series. An efficiency index has been built with this design. The results indicate that the Indian commodity market is partially efficient. The efficiency fluctuation is higher in the case of agricultural commodities. The slowdown in 2008 reduced the market efficiency of the exportoriented commodities. Moreover, seasonality in the market efficiency is observed for a few agricultural commodities.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This study examines the efficiency of the Indian commodity market after the onset of futures trading on the national level commodity exchanges. The efficiency of five agricultural and three non-agricultural commodities have been tested by calculating multiscale sample entropy, taking univariate and multivariate series. An efficiency index has been built with this design. The results indicate that the Indian commodity market is partially efficient. The efficiency fluctuation is higher in the case of agricultural commodities. The slowdown in 2008 reduced the market efficiency of the exportoriented commodities. Moreover, seasonality in the market efficiency is observed for a few agricultural commodities.
The Distribution of Futures Price Changes and Market Efficiency in the Commodity Markets
Author: Seyed Mostafa Baladi
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 316
Book Description
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 316
Book Description
Testing for Efficiency in Commodity Futures Markets
Trading Signals on Currency Futures Contracts
Author: Erdogan Bilik
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 36
Book Description
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 36
Book Description
Testing Futures Market Efficiency
Author: Atcharawan Ngarmyarn
Publisher:
ISBN:
Category :
Languages : en
Pages : 298
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 298
Book Description